Efficient rare-event simulation for the maximum of heavy-tailed random walks

DOI10.1214/07-AAP485zbMath1147.60315arXiv0808.2731OpenAlexW1985912219MaRDI QIDQ939072

Jose H. Blanchet, Peter W. Glynn

Publication date: 20 August 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0808.2731

zbMATH Keywords

random walksheavy-tailssingle-server queuerare-event simulationstate-dependent importance samplingchange-of-measureLyapunov bounds

Mathematics Subject Classification ID

Analysis of algorithms (68W40) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Discrete-time Markov processes on general state spaces (60J05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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